Invariant Consistent Dynamic Mode Decomposition

Abstract

Any deterministic autonomous dynamical system may be globally linearized by its' Koopman operator. This object is typically infinite-dimensional and can be approximated by the so-called Dynamic Mode Decomposition (DMD). In DMD, the central idea is to preserve a fundamental property of the Koopman operator: linearity. This work augments DMD by preserving additional properties like functional relationships between observables and consistency along geometric invariants. The first set of constraints provides a framework for understanding DMD variants like Higher-order DMD and Affine DMD. The latter set guarantees the estimation of Koopman eigen-functions with eigen-value 1, whose level sets are known to delineate invariant sets. These benefits are realized with only a minimal increase in computational cost, primarily due to the linearity of constraints.